Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 9 | 9 | 10 |
| Score | 5.6 | 4.74 | 9.15 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.14 | 0.14 | 0.14 |
| Idiosyncratic Volatility | 0.3 | 0.34 | 0.34 |
Annualized return and volatility
| MLAIX | |
|---|---|
| Annualized Return | 0.1117 |
| Annualized Std Dev | 0.2173 |
| Annualized Sharpe (Rf=0%) | 0.5141 |
Row
Daily Return Statistics
| MLAIX | |
|---|---|
| Observations | 3773.0000 |
| NAs | 1341.0000 |
| Minimum | -0.2283 |
| Quartile 1 | -0.0047 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0065 |
| Maximum | 0.2906 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0002 |
| Stdev | 0.0137 |
| Skewness | 1.1409 |
| Kurtosis | 78.3583 |
Downside Risk
| MLAIX | |
|---|---|
| Semi Deviation | 0.0098 |
| Gain Deviation | 0.0106 |
| Loss Deviation | 0.0113 |
| Downside Deviation (MAR=210%) | 0.0141 |
| Downside Deviation (Rf=0%) | 0.0095 |
| Downside Deviation (0%) | 0.0095 |
| Maximum Drawdown | 0.4873 |
| Historical VaR (95%) | -0.0199 |
| Historical ES (95%) | -0.0312 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2011-01-18 | -0.4873 | 824 | 273 | 551 |
| 2018-10-02 | 2018-12-24 | 2019-04-02 | -0.2229 | 127 | 59 | 68 |
| 2011-07-08 | 2011-10-03 | 2012-02-16 | -0.2060 | 157 | 62 | 95 |
| 2015-07-21 | 2016-02-08 | 2017-02-09 | -0.2024 | 400 | 143 | 257 |
| 2012-04-04 | 2012-06-01 | 2013-01-22 | -0.1359 | 204 | 41 | 163 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | MLAIX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2005 | NA | NA | -0.8 | 0.0 | 1.2 | 0.2 | 0.2 | 0.2 | 0.0 | 0.2 | 1.6 | 0.0 | 2.8 |
| 2006 | 0.0 | 1.2 | 0.0 | -0.9 | 1.6 | 0.0 | -0.9 | 0.5 | 0.0 | -1.4 | -0.5 | 0.0 | -0.3 |
| 2007 | 0.3 | -0.5 | 0.0 | 0.0 | 0.3 | 0.0 | 0.6 | 0.0 | 0.8 | -1.7 | 0.0 | 0.0 | -0.2 |
| 2008 | 1.1 | 0.0 | 3.1 | 1.3 | 0.0 | 0.3 | -0.6 | 0.0 | -1.6 | 0.0 | -7.9 | 0.0 | -4.6 |
| 2009 | 0.0 | 0.0 | 0.4 | 0.2 | 2.8 | -0.2 | 0.0 | -1.6 | -2.8 | 0.0 | 1.2 | 0.0 | -0.1 |
| 2010 | 1.7 | 1.3 | 0.5 | 0.0 | -1.8 | 0.0 | 0.0 | 3.4 | 0.2 | -0.1 | 2.0 | 0.0 | 7.3 |
| 2011 | 1.9 | -2.0 | 0.6 | 0.0 | -2.7 | 1.5 | -0.4 | -1.1 | 0.0 | -2.4 | 0.3 | 0.0 | -4.2 |
| 2012 | 1.1 | 1.0 | 0.0 | -0.1 | -2.9 | 0.0 | -0.5 | 0.0 | 0.2 | 1.2 | 0.0 | 0.0 | -0.2 |
| 2013 | 1.0 | 0.7 | -0.7 | -0.9 | 0.0 | 0.9 | 1.7 | 0.0 | 1.2 | 0.2 | 0.0 | 0.0 | 4.1 |
| 2014 | 0.0 | 0.0 | 1.6 | 0.5 | 0.0 | 1.1 | -0.5 | 0.0 | -1.7 | 0.0 | -1.4 | 0.0 | -0.5 |
| 2015 | 0.0 | 0.0 | -0.6 | 0.8 | 0.5 | 0.7 | 0.0 | -2.9 | 1.1 | 0.0 | 1.3 | 0.0 | 1.0 |
| 2016 | 0.3 | 2.6 | 0.9 | 0.0 | 0.3 | 0.5 | 0.2 | 0.2 | 0.0 | -0.7 | -1.4 | 0.0 | 3.0 |
| 2017 | 0.2 | 1.4 | 0.0 | 0.5 | 0.6 | 0.0 | 0.3 | -0.1 | 0.0 | 0.0 | -0.7 | 0.0 | 2.2 |
| 2018 | -0.4 | -1.3 | 0.0 | 0.8 | 1.5 | 0.0 | -0.1 | 0.0 | 0.3 | 1.0 | 0.0 | 0.0 | 1.9 |
| 2019 | 0.1 | 1.0 | 1.1 | -1.3 | 0.0 | 1.1 | -0.6 | 0.0 | -0.8 | 0.0 | 0.0 | -0.1 | 0.6 |
Row
Rolling Performance Chart
Snail Trail Chart
